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Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013187623
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Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
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Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni; Ghorbel, Ahmed; Khoufi, Walid - In: American journal of finance and accounting 5 (2018) 4, pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
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FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014473652
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen; Toan Luu Duc Huynh - In: Quantitative finance and economics 3 (2019) 3, pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
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Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
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Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
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Businesses risks aggregation with Copula
Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72
Persistent link: https://www.econbiz.de/10010337911